Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

Scholz H, Wilkens M (2005)

Publication Language: English

Publication Type: Journal article

Publication year: 2005

Journal

International Journal of Finance & Economics Wiley-Blackwell

Publisher: Wiley-Blackwell

Book Volume: 17

Pages Range: 3671-3691

Journal Issue: 4

Abstract

This article defines the investor-specific peribmiance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall portfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed portfolio. Since the ISM is considerably defined by the Sharpe ratio and the Treynor ratio, an economic justification of these traditional performance measures is also presented here.

Authors with CRIS profile

Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

Involved external institutions

Universität Augsburg DE Germany (DE)

How to cite

APA:

Scholz, H., & Wilkens, M. (2005). Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio. International Journal of Finance & Economics, 17(4), 3671-3691.

MLA:

Scholz, Hendrik, and Marco Wilkens. "Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio." International Journal of Finance & Economics 17.4 (2005): 3671-3691.

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